Path Integral for Multiplicative Noise: Generalized Fokker-Planck Equation and Entropy Production Rate in Stochastic Processes With Threshold

TL;DR

This paper extends the path integral formalism to stochastic processes with multiplicative noise, deriving a generalized Fokker-Planck equation and analyzing entropy production, including new simulations of Levy flights and geometric Brownian motion.

Contribution

It introduces a generalized path integral approach for multiplicative noise, deriving a new Fokker-Planck equation and analyzing entropy production in thresholded stochastic processes.

Findings

Restricted Brownian motion exhibits quasi-steady states.

Restricted geometric Brownian motion shows similar quasi-steady behavior.

First analytical solution of geometric Levy alpha-stable flight without Itô's lemma.

Abstract

This paper introduces a comprehensive extension of the path integral formalism to model stochastic processes with arbitrary multiplicative noise. To do so, It\^o diffusive process is generalized by incorporating a multiplicative noise term $(\eta(t))$ that affects the diffusive coefficient in the stochastic differential equation. Then, using the Parisi-Sourlas method, we estimate the transition probability between states of a stochastic variable $(X(t))$ based on the cumulant generating function $(\mathcal{K}_{\eta})$ of the noise. A parameter $\gamma\in[0,1]$ is introduced to account for the type of stochastic calculation used and its effect on the Jacobian of the path integral formalism. Next, the Feynman-Kac functional is then employed to derive the Fokker-Planck equation for generalized It\^o diffusive processes, addressing issues with higher-order derivatives and ensuring compatibility with known functionals such as Onsager-Machlup and Martin-Siggia-Rose-Janssen-De Dominicis in the white noise case. The general solution for the Fokker-Planck equation is provided when the stochastic drift is proportional to the diffusive coefficient and $\mathcal{K}_{\eta}$ is scale-invariant. Finally, the Brownian motion ($BM$), the geometric Brownian motion ($GBM$), the Levy $\alpha$-stable flight ($LF(\alpha)$), and the geometric Levy $\alpha$-stable flight ($GLF(\alpha)$) are simulated with thresholds, providing analytical comparisons for the probability density, Shannon entropy, and entropy production rate. It is found that restricted $BM$ and restricted $GBM$ exhibit quasi-steady states since the rate of entropy production never vanishes. It is also worth mentioning that in this work the $GLF(\alpha)$ is defined for the first time in the literature and it is shown that its solution is found without the need for It\^o's lemma.